V-Lab: BASF SE Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

BASF SE Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:25.99% (-0.18%)

Analysis last updated: Saturday, April 20, 2024 at 11:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1587	5.77
$α$	0.0707	8.27
$β$	0.8969	76.45
$γ_{1}$	0.0593	3.08
$γ_{2}$	-0.1071	-3.71
$γ_{3}$	0.0869	5.01
$γ_{4}$	-0.0692	-4.60
$γ_{5}$	0.0572	3.85
$γ_{6}$	-0.0400	-3.60

Estimation Period:
Jan 2, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts